| Publication | Date of Publication | Type |
|---|
Polynomial Volterra processes
(available as arXiv preprint) | N/A | Paper |
Feller's test for explosions of stochastic Volterra equations
Electronic Journal of Probability | 2026-07-29 | Paper |
Understanding the worst-kept secret of high-frequency trading
Finance and Stochastics | 2026-03-23 | Paper |
Existence of optimal controls for stochastic Volterra equations
European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations | 2025-04-15 | Paper |
Polynomial Volterra processes
Electronic Journal of Probability | 2025-02-19 | Paper |
| Rough affine models | 2025-02-11 | Paper |
The rough Hawkes Heston stochastic volatility model
Mathematical Finance | 2024-11-20 | Paper |
Affine Volterra processes with jumps
Stochastic Processes and their Applications | 2024-01-12 | Paper |
| The rough Hawkes Heston stochastic volatility model | 2022-10-22 | Paper |
American options in the Volterra Heston model
SIAM Journal on Financial Mathematics | 2022-05-31 | Paper |
A weak solution theory for stochastic Volterra equations of convolution type
The Annals of Applied Probability | 2022-02-14 | Paper |
Markov cubature rules for polynomial processes
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Affine Volterra processes
The Annals of Applied Probability | 2020-01-22 | Paper |
Density of the set of probability measures with the martingale representation property
The Annals of Probability | 2019-10-08 | Paper |
Density of the set of probability measures with the martingale representation property
The Annals of Probability | 2019-10-08 | Paper |
Financial models with defaultable numéraires
Mathematical Finance | 2019-05-08 | Paper |
Financial models with defaultable numéraires
Mathematical Finance | 2019-05-08 | Paper |
| Affine Rough Models | 2018-12-20 | Paper |
The Jacobi stochastic volatility model
Finance and Stochastics | 2018-07-16 | Paper |
Polynomial diffusions on compact quadric sets
Stochastic Processes and their Applications | 2017-02-14 | Paper |
Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
SIAM Journal on Financial Mathematics | 2016-09-28 | Paper |
A system of quadratic BSDEs arising in a price impact model
The Annals of Applied Probability | 2016-06-09 | Paper |
A system of quadratic BSDEs arising in a price impact model
The Annals of Applied Probability | 2016-06-09 | Paper |
The effect of trading futures on short sale constraints
Mathematical Finance | 2015-04-24 | Paper |
The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
The Annals of Applied Probability | 2014-04-04 | Paper |
The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
The Annals of Applied Probability | 2014-04-04 | Paper |
